کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
417207 681468 2008 9 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Smoothed L-estimation of regression function
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر نظریه محاسباتی و ریاضیات
پیش نمایش صفحه اول مقاله
Smoothed L-estimation of regression function
چکیده انگلیسی

The Nadaraya–Watson nonparametric estimator of regression is known to be highly sensitive to the presence of outliers in data. This sensitivity can be reduced, for example, by using local L-estimates of regression. Whereas the local L-estimation is traditionally done using an empirical conditional distribution function, we propose to use instead a smoothed conditional distribution function. The asymptotic distribution of the proposed estimator is derived under mild ββ-mixing conditions, and additionally, we show that the smoothed L-estimation approach provides computational as well as statistical finite-sample improvements. Finally, the proposed method is applied to the modelling of implied volatility.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Computational Statistics & Data Analysis - Volume 52, Issue 12, 15 August 2008, Pages 5154–5162
نویسندگان
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